The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers in the presence of risk constraints. Especially we consider
the risk, that the terminal wealth of the portfolio falls short of a certain benchmark level which is proportional to the stock price. This risk is measured by the
Expected Utility Loss. We generalize the findings our previous papers to this case.
Using the Black-Scholes model of a complete financial market and applying martingale methods, analytic expressions for the optimal terminal wealth and the optimal
portfolio strategies are given. Numerical examples illustrate the analytic results.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa.de:swb:ch1-200501244 |
| Date | 06 October 2005 |
| Creators | Gabih, Abdelali, Richter, Matthias, Wunderlich, Ralf |
| Contributors | TU Chemnitz, Fakultät für Mathematik |
| Publisher | Universitätsbibliothek Chemnitz |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | doc-type:lecture |
| Format | application/pdf, text/plain, application/zip |
| Relation | dcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:swb:ch1-200501214 |
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